Inconsistent Search Results
Users may experience issues with the search function. We encourage you to browse our pages manually through the navigation until this is resolved. Thank you for your patience.

Spectral Density and Spectral Distribution Inference For Long Memory Time Series Via Fixed-B Asymptotics

Written by:

Abstract

This paper studies taper-based estimates of the spectral density utilizing a fixed bandwidth ratio asymptotic framework, and makes several theoretical contributions: (i) we treat multiple frequencies jointly, (ii) we allow for long-range dependence or anti-persistence at differing frequencies, (iii) we allow for tapers that are only piecewise smooth or discontinuous, including flat-top and truncation tapers, (iv) we study higher-order accuracy through the limit distribution’s Laplace Transform, (v) we develop a taper-based estimation theory for the spectral distribution, and show how confidence bands can be constructed. Simulation results produce quantiles and document the finite-sample size properties of the estimators, and a few empirical applications demonstrate the utility of the new methods.

Page Last Revised - October 8, 2021